Publication: Which eligible assets are compatible with comonotonic capital requirements?
Which eligible assets are compatible with comonotonic capital requirements?
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Koch-Medina, P., Munari, C., & Svindland, G. (2018). Which eligible assets are compatible with comonotonic capital requirements? Insurance: Mathematics and Economics, 81, 18–26. https://doi.org/10.1016/j.insmatheco.2018.04.003
Abstract
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Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We show that comonotonicity cannot be characterized by the properties of the acceptance set alone and heavily depends on the choice of the eligible asset. In fact, in many important cases, comonotonicity is only compatible with risk-free eligible assets. The incompatibility with risky eligible assets is systematic whenever the acceptability criterion is based on
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- Munari, Cosimo
- Svindland, Gregor
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Koch-Medina, P., Munari, C., & Svindland, G. (2018). Which eligible assets are compatible with comonotonic capital requirements? Insurance: Mathematics and Economics, 81, 18–26. https://doi.org/10.1016/j.insmatheco.2018.04.003